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I moved the .zip file into my Documents and when I try to do the <Extract All...> it says that the compressed file is empty?? In this case should I consider getting WinRAR or something to help out? I'm not sure if it would help with this or not...

Yes, I think you should consider a decompression program. Personally, I prefer 7Zip but WinRAR should work just as well. If you still run into this issue, something may be wrong with the download, maybe your internet is allocating space for the file, and then assuming it's filled?